Here is a contrived example.
http://cf.geekdo-images.com/images/pic1015427.jpgLet us say the blue group can connect to the right side, and the orange group can reach the bottom. Blue is blocked from reaching the left, but orange cannot connect his two groups. In order to win, you must create a continuous chain of linked pegs which connects your border rows, and orange has not done that. If it were legal for orange to place a peg at A3, then he could connect B5 to C2, but it is illegal to play in an opposing border row. Orange might try to create a new chain B3-C5-B7-C9, but blue can easily stop that by occupying any vacant hole along that chain.
Drawn positions like this can occur anywhere on the board. Players are allowed to agree to a draw even if the position is not drawn, but among experienced players this is generally not done.